Silvia Stanescu

University of Kent - Kent Business School

Canterbury, Kent CT2 7PE

United Kingdom

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

1.

Investment Strategies with VIX and VSTOXX Futures

Number of pages: 44 Posted: 08 Nov 2013 Last Revised: 02 Dec 2013
Silvia Stanescu and Radu Tunaru
University of Kent - Kent Business School and University of Kent - Kent Business School
Downloads 1,613 (10,065)

Abstract:

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volatility indexes, volatility derivatives, GARCH models, statistical arbitrage

2.

Analytic Moments for GARCH Processes

ICMA Centre Discussion Papers in Finance DP 2011-07
Number of pages: 59 Posted: 04 Nov 2010 Last Revised: 14 Apr 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex Business School, University of Reading - ICMA Centre and University of Kent - Kent Business School
Downloads 206 (145,007)

Abstract:

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approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation

3.

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

ICMA Centre Discussion Papers in Finance DP 2011-08
Number of pages: 28 Posted: 13 May 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex Business School, University of Reading - ICMA Centre and University of Kent - Kent Business School
Downloads 119 (230,343)

Abstract:

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GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall

4.

An Improved Method for Pricing and Hedging American Options

Number of pages: 45 Posted: 25 Oct 2014 Last Revised: 16 Nov 2014
Tommaso Paletta, Silvia Stanescu and Radu Tunaru
University of Kent - Kent Business School, University of Kent - Kent Business School and University of Kent - Kent Business School
Downloads 118 (231,815)

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American options, Optimal exercise price, Quasi-analytic method, Delta-Hedging performance

5.

Finite Sample Weighting of Recursive Forecast Errors

Number of pages: 37 Posted: 24 Dec 2013 Last Revised: 11 Jul 2014
Chris Brooks, Simon Burke and Silvia Stanescu
University of Reading - ICMA Centre, University of Reading and University of Kent - Kent Business School
Downloads 57 (359,091)

Abstract:

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forecast evaluation; forecast comparison; recursive model estimation; mean squared error; forecast weighting scheme